Testing for changes in polynomial regression
| dc.creator | Aue, Alexander | |
| dc.creator | Horváth, Lajos | |
| dc.creator | Hušková, Marie | |
| dc.creator | Kokoszka, Piotr | |
| dc.date | 2008-10-22 | |
| dc.date.accessioned | 2026-07-07T10:12:26Z | |
| dc.date.available | 2026-07-07T10:12:26Z | |
| dc.description | We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value distribution of a maximum-type test statistic which is asymptotically equivalent to the maximally selected likelihood ratio. The resulting test is easy to apply and has good size and power, even in small samples. | |
| dc.description | Published in at http://dx.doi.org/10.3150/08-BEJ122 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm) | |
| dc.identifier | https://arxiv.org/abs/0810.4012 | |
| dc.identifier | http://arxiv.org/abs/0810.4012 | |
| dc.identifier | Bernoulli 2008, Vol. 14, No. 3, 637-660 | |
| dc.identifier | doi:10.3150/08-BEJ122 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/172180 | |
| dc.subject | Statistics Theory | |
| dc.title | Testing for changes in polynomial regression | |
| dc.type | text |